Nonlinear option pricing

Julien Guyon; Pierre Henry-Labordère

Option pricing in a nutshell -- Monte Carlo -- Some excursions in option pricing -- Nonlinear PDEs: a bit of theory -- Examples of nonlinear problems in finance -- Early exercise problems -- Backward stochastic differential equations -- The uncertain lapse and mortality model -- The uncertain volatility model -- McKean nonlinear stochastic differential equations -- Calibration of local stochastic volatility models to market smiles -- Calibration of local correlation models to market smiles -- Marked branching diffusions -- References -- Index

MoreLess

Year of publication:	2014
Authors:	Guyon, Julien ; Henry-Labordère, Pierre
Publisher:	Boca Raton, Fla. [u.a.] : CRC Press
Subject:	Optionspreistheorie \| Option pricing theory \| Finanzmathematik \| Mathematical finance
Description of contents:	Description [zbmath.org]

Check Google Scholar |

More access options

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	XXXVIII, 445 S. graph. Darst.
Series:	Chapman & Hall / CRC financial mathematics series A Chapman & Hall Book
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Lehrbuch ; Textbook
Language:	English
Notes:	Option pricing in a nutshellMonte Carlo -- Some excursions in option pricing -- Nonlinear PDEs: a bit of theory -- Examples of nonlinear problems in finance -- Early exercise problems -- Backward stochastic differential equations -- The uncertain lapse and mortality model -- The uncertain volatility model -- McKean nonlinear stochastic differential equations -- Calibration of local stochastic volatility models to market smiles -- Calibration of local correlation models to market smiles -- Marked branching diffusions -- References -- Index.
ISBN:	1-4665-7033-4 ; 978-1-4665-7033-7
Classification:	Geld, Inflation, Kapitalmarkt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011373471